Sökning: "high-dimensional covariance matrix"

Visar resultat 1 - 5 av 7 avhandlingar innehållade orden high-dimensional covariance matrix.

1. 1. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

   Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

   Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER

3. 2. Modeling the covariance matrix of financial asset returns

   Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

   Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

4. 3. Classification models for high-dimensional data with sparsity patterns

   Författare :Annika Tillander; Tatjana Pavlenko; Daniel Thorburn; Patrik Ryden; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; High-dimensionality; supervised classification; classification accuracy; sparse; block-diagonal covariance structure; graphical Lasso; separation strength; discretization; Statistics; statistik;

   Sammanfattning : Today's high-throughput data collection devices, e.g. spectrometers and gene chips, create information in abundance. However, this poses serious statistical challenges, as the number of features is usually much larger than the number of observed units. LÄS MER

5. 4. Issues of incompleteness, outliers and asymptotics in high dimensional data

   Författare :Peter S. Karlsson; Thomas Holgersson; Ghazi Shukur; Åke E. Andersson; Jönköping University; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Business and economics; Ekonomi;

   Sammanfattning : This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multivariate statistical analysis of High dimensional data. The first essay presents the issue of estimating the inverse covariance matrix alone and when it is used within the Mahalanobis distance in High-dimensional data. LÄS MER

7. 5. In Pursuit of Ideal Model Selection for High-Dimensional Linear Regression

   Författare :Arash Owrang; Magnus Jansson; Esa Ollila; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : The fundamental importance of model specification has motivated researchers to study different aspects of this problem. One of which is the task of model selection from the set of available competing models. LÄS MER